Dynamic principal component analysis of multivariate volatility via Fourier analysis
Year of publication: |
2005
|
---|---|
Authors: | Mancino, Maria Elvira ; Renò, Roberto |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 12.2005, 2, p. 187-199
|
Subject: | Volatilität | Volatility | Finanzmarkt | Financial market | Mathematik | Mathematics |
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